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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of mathematical finance"
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Search: subject:"Black-Scholes-Modell"
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Black-Scholes model
48
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48
Option pricing theory
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Asia-Pacific financial markets
European journal of operational research : EJOR
Journal of mathematical finance
International journal of theoretical and applied finance
76
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
Applied mathematical finance
37
The journal of futures markets
33
The journal of computational finance
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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ECONIS (ZBW)
48
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1
Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
298
(
2022
)
3
,
pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930
Saved in:
2
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
3
The barrier binary options
Gao, Min
;
Wei, Zhenfeng
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10012545572
Saved in:
4
A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
Saved in:
5
Uncovering the distribution of option implied risk aversion
Kyriacou, Maria
;
Olmo, Jose
;
Strittmatter, Marius
- In:
Journal of mathematical finance
9
(
2019
)
2
,
pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
Saved in:
6
A study on numerical solution of Black-Scholes model
Anwar, Md. Nurul
;
Andallah, Laek Sazzad
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 372-381
Persistent link: https://www.econbiz.de/10011874785
Saved in:
7
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
Saved in:
8
A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
Saved in:
9
Computation of Greeks using binomial tree
Muroi, Yoshifumi
;
Suda, Shintaro
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 597-623
Persistent link: https://www.econbiz.de/10011752400
Saved in:
10
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
Asia-Pacific financial markets
24
(
2017
)
4
,
pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
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